A simplicial decomposition framework for large scale convex quadratic programming

MaRDI QIDQ6287111zbMATH OpenFDO

Authors Enrico Bettiol, L. Létocart, F. Rinaldi, Emiliano Traversi

Publication date 25 May 2017

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)

Abstract: In this paper, we analyze in depth a simplicial decomposition like algorithmic framework for large scale convex quadratic programming. In particular, we first propose two tailored strategies for handling the master problem. Then, we describe a few techniques for speeding up the solution of the pricing problem. We report extensive numerical experiments on both real portfolio optimization and general quadratic programming problems, showing the efficiency and robustness of the method when compared to Cplex.

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